Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach

DOI10.1016/j.ejor.2006.08.013zbMath1142.91522OpenAlexW2133087101MaRDI QIDQ2464252

Could not fetch data.

Publication date: 10 December 2007

Published in: (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/220/1/MPRA_paper_220.pdf

zbMATH Keywords

Could not fetch data.

Mathematics Subject Classification ID

Could not fetch data.